The striker joined Roma on loan in the summer and has scored seven goals in eight games under Jose Mourinho.
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Lukaku, 30, was heavily linked with a return to Inter Milan, where he spent last season on loan.
Some reports suggested Lukaku only wanted to join Inter but the Belgian has now dismissed such speculation as it “did not make sense”.
He revealed he will share the truth about his Chelsea transfer exit when the time is right, claiming many will be shocked when he does.
Lukaku said: “I have to wait for the right moment. You all know me. When I speak, I don’t go around the pot. Then I don’t do politics.
“I know what has been going on behind the scenes, but when I tell my story, I want everyone to listen to my point of view for once and nothing is taken out of context.
“The time is not yet right for that. We are in a good groove. At Roma, we won the last three matches and I left with good vibes. For the national team, it is also an important week. But I read so much bulls***.’
“I had supposedly told myself I was going to a certain club [Inter Milan], but that didn’t make sense.
“There were also a few clubs I wouldn’t go to. At one point, I was about to explode. When 90 per cent of what is said about you is not true, it is hard to keep your mouth shut.
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“Five years ago, I would definitely have exploded, but now I didn’t put my energy into it. Not now, either. If I really told the truth here at this moment, many would be shocked.
“I just want to make an example of NBA player LeBron James, even though I’m not like LeBron. Bam, bam, bam — that one took a lot of criticism but handled it unflinchingly. I want to adopt that mentality.”
Lukaku scored just eight goals in 26 Premier League games following his £100million return to Chelsea in 2021.
He jeopardised his Blues career just a few months after he signed as he revealed he wanted to return to Inter in a bombshell interview.
Chelsea let him join the Serie A giants on loan the following summer and he has not played for the club since.